self-fulfilling beliefs as drivers of sovereign default risk. I show how default risk can be decomposed in a solvency-risk … component and a coordination-risk component. I then study how fiscal policy can be effective in managing the risk of … coordination and I characterise how the shape of the optimal policy is affected by the presence of this risk: making the deficit …

on the notion of the credit risk premium. Using a series of excess returns to investment-grade corporate bonds going back … to 1926, the authors find evidence of a positive risk premium of corporate bonds over Treasuries. However, investors who …

This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the … recovery rates. It has a major impact on standard risk measures such as Value- at-Risk and conditional tail expectation …